Is there a way to stop Blender from performing an action once started?
It depends, some actions you can stop, others you cannot. However you can always stop blender by closing it Alt + F4 or killing the process. Some things can be stopped in blender. If it is possible to stop an action you can do it with the ESC key.

Actions that cannot be stopped:


Changing shading style in the viewport, e.g changing to textured or materials can take some time if you have a lot of textures, there is no way to stop this
Applying/Modifying modifiers, e.g when you accidently increase the numbers of arrays to 400 blender will take a long time to compute this depending on the complexity of the object. Same goes for other modifiers.


Actions you can stop mid process: 


Rendering, you can always abort a render at render time
Baking textures, similar to render: e.g baking a normal map.
Baking fluids: Smoke and Liquid simulations can be canceled just like renders.


You can also cancel these actions with the GUI by clicking on the X: